3) As a robustness check to the specification of the preannouncement short-selling time period, we conducted a multivariate analysis using t - 5, t - 1, and t - 1 windows and observed quantitatively and statistically similar results to that of the t - 3, t - 1 window.

2003), in studying the effect of preliminary voluntary disclosure and preemptive preannouncement on the slope of the regression of returns on earnings surprise, find when firms manage earnings by attempting to inflate them; the response to negative earnings surprise is stronger than the response to positive earnings surprise.

We also document a significant run-up in price for the preannouncement period and a deep, about 31%, decline in stock value, relative to "normal" expected return (defined as the forecasts from a Fama-French three-factor market model), for the year after the announcement for the underlying stock.

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